Estimating skewness persistence in market returns

Jati Sengupta and Yijuan Zheng

Applied Financial Economics, 1997, vol. 7, issue 5, 549-558

Abstract: The conditional returns series for mutual funds and the S&P 500 are analysed to test whether there is persistence in skewness. Three groups of statistical models of market volatility are estimated over the period September 1988 to April 1993 and the empirical evidence provides valuable insights into the skewness persistence.

Date: 1997
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DOI: 10.1080/096031097333411

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